You know, my favorite character is usually whichever book I happen to currently be reading, which might be a cop out answer, but I just get so into the current world as it is happening in my head. Right now I am reading the skyward series again and M-Bot is my fav, but when I read Stormlight, Syl and Shallan reign supreme.
Also a hard question since the depth and complexity is in all of them. Warbreaker and Emperor's Soul have great systems for people since they don't need to be inborn. I LOVE a good magic system that isn't some god gift to create a hero, but instead hard work and dedication (ES) and money (WB) are what 'grants' the powers. Yes I know WB has the granted gift magic as well, but I'm not referring to that.
However, I think Mistborn with the use of metals that are an external energy/power source and have very defined limitations that the characters have to work around is unique and glorious and pulls me back to it.